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M_VolSurface Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for M_VolSurface:

VolSurface List of all members.

Detailed Description

Our own volatility surface. See book, 6.11.1.

Definition at line 219 of file VolatilityAndCorrelation.h.

Public Member Functions

 M_VolSurface (Real a, Real b, Real c, Real d)
Real sigma (Real t, Real T) const
Real integral_sgsg (Real t, Real T_1, Real T_2) const
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

VolSurfacesample ()

Constructor & Destructor Documentation

M_VolSurface::M_VolSurface Real    a,
Real    b,
Real    c,
Real    d

Definition at line 224 of file VolatilityAndCorrelation.h.

References VolSurface::a, VolSurface::b, VolSurface::c, VolSurface::d, and Real.

Member Function Documentation

Real M_VolSurface::sigma Real    t,
Real    T
const [inline, virtual]

Volatility surface (book 6.11.1)

Implements VolSurface.

Definition at line 236 of file VolatilityAndCorrelation.h.

References Real.

Real M_VolSurface::integral_sgsg Real    t,
Real    T_1,
Real    T_2
const [virtual]

See VolSurface#integral_sgsg.

Implements VolSurface.

std::ostream& M_VolSurface::printSelf std::ostream &    os const [virtual]

Message and fields.

Implements VolSurface.

VolSurface* M_VolSurface::sample   [static]

Sample surface.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3